Why on the earth should it be returned? As Valerie says, it is Alexandra's and she is the mother of two of QMII's grandchildren. Upon Alexandra's death (perhaps even sooner – maybe it will be the wedding tiara of a future daughter-in-law), the tiara will either go to one of them (or they will share it amongst each other) or return to the throne. As such, one could practically consider it to almost be in the possession of the future extended royal family.
Queen Alexandrine's Fringe Tiara is in Count Ingolf's possession (although it's mostly worn by Countess Sussie
) and Princess Elisabeth has Princess Thyra's Sapphire Tiara, should they have returned those tiaras since they're "merely" members of the extended royal family?
Besides, Alexandra uses it when she's invited to something that demands a tiara – like the gala show in honour of QMII's 40th jubilee in 2012.